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An Arbitrage-Free Approach to Quasi-Option Value

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  • Coggins, Jay S.
  • Ramezani, Cyrus A.

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File URL: http://www.sciencedirect.com/science/article/B6WJ6-45J59X4-X/2/8700f24272e3804f2e8852c419a3ef6a
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Environmental Economics and Management.

Volume (Year): 35 (1998)
Issue (Month): 2 (March)
Pages: 103-125

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Handle: RePEc:eee:jeeman:v:35:y:1998:i:2:p:103-125

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Web page: http://www.elsevier.com/locate/inca/622870

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Fisher, Anthony C. & Hanemann, W. Michael, 1987. "Quasi-option value: Some misconceptions dispelled," Journal of Environmental Economics and Management, Elsevier, vol. 14(2), pages 183-190, June.
  2. Hanemann, W. Michael, 1989. "Information and the concept of option value," Journal of Environmental Economics and Management, Elsevier, vol. 16(1), pages 23-37, January.
  3. Reed, William J., 1993. "The decision to conserve or harvest old-growth forest," Ecological Economics, Elsevier, vol. 8(1), pages 45-69, August.
  4. Richard C. Bishop, 1982. "Option Value: An Exposition and Extension," Land Economics, University of Wisconsin Press, vol. 58(1), pages 1-15.
  5. Arrow, Kenneth J & Kurz, Mordecai, 1970. "Optimal Growth with Irreversible Investment in a Ramsey Model," Econometrica, Econometric Society, vol. 38(2), pages 331-44, March.
  6. McDonald, Robert L & Siegel, Daniel R, 1985. "Investment and the Valuation of Firms When There Is an Option to Shut Down," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 331-49, June.
  7. Bernanke, Ben S, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, MIT Press, vol. 98(1), pages 85-106, February.
  8. F. Christian Zinkhan, 1991. "Option Pricing and Timberland's Land-Use Conversion Option," Land Economics, University of Wisconsin Press, vol. 67(3), pages 317-325.
  9. Dennis C. Cory & Bonnie Colby Saliba, 1987. "Requiem for Option Value," Land Economics, University of Wisconsin Press, vol. 63(1), pages 1-10.
  10. Arrow, Kenneth J & Fisher, Anthony C, 1974. "Environmental Preservation, Uncertainty, and Irreversibility," The Quarterly Journal of Economics, MIT Press, vol. 88(2), pages 312-19, May.
  11. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November.
  12. Conrad, Jon M., 1997. "On the option value of old-growth forest," Ecological Economics, Elsevier, vol. 22(2), pages 97-102, August.
  13. Saman Majd & Robert S. Pindyck, 1987. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  14. Bohm, Peter, 1975. "Option Demand and Consumer's Surplus: Comment," American Economic Review, American Economic Association, vol. 65(4), pages 733-36, September.
  15. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
  16. Conrad, Jon M, 1980. "Quasi-Option Value and the Expected Value of Information," The Quarterly Journal of Economics, MIT Press, vol. 94(4), pages 813-20, June.
  17. Paddock, James L & Siegel, Daniel R & Smith, James L, 1988. "Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases," The Quarterly Journal of Economics, MIT Press, vol. 103(3), pages 479-508, August.
  18. Schmalensee, Richard, 1972. "Option Demand and Consumer's Surplus: Valuing Price Changes under Uncertainty," American Economic Review, American Economic Association, vol. 62(5), pages 813-24, December.
  19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  20. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
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Citations

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Cited by:
  1. Mensink, Paul, 2004. "A comment on "An arbitrage-free approach to quasi-option value" by Coggins and Ramezani," Economics Working Papers 2004,06, Christian-Albrechts-University of Kiel, Department of Economics.
  2. van den Bergh, Jeroen C.J.M., 2008. "Optimal diversity: Increasing returns versus recombinant innovation," Journal of Economic Behavior & Organization, Elsevier, vol. 68(3-4), pages 565-580, December.
  3. Farmer, Michael C., 2001. "Getting the safe minimum standard to work in the real world: a case study in moral pragmatism," Ecological Economics, Elsevier, vol. 38(2), pages 209-226, August.
  4. Marcel Boyer & Pierre Lasserre & Michel Moreaux, 1997. "Emerging Environmental Problems, Irreversible Remedies, and Myopia in a Two Country Setup," CIRANO Working Papers 97s-32, CIRANO.
  5. Forster, D. Lynn, 2006. "An Overview of U.S. Farm Real Estate Markets," Working Papers 28319, Ohio State University, Department of Agricultural, Environmental and Development Economics.

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